Recursive Models of Dynamic Linear Model

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226506.pdf (2.41 MB)

2008-7-12 06:05:00 上传

Recursive Models of Dynamic Linear Model

This book views many apparently disparate dynamic economic models as examples
of a single class of models that can be adapted and specialized to study
diverse economic phenomena. The class of models was created by using recent
advances in (i) the theory of recursive dynamic competitive economies;1 (ii)
methods for estimating and interpreting vector autoregression;2 (iii) linear optimal
control theory;3 and (iv) computer languages for rapidly manipulating
linear optimal control systems.4 We combine these elements to build a class of
models for which the competitive equilibria are vector autoregressions that can
be swiftly computed, represented, and simulated using the methods of linear
optimal control theory. We use the computer language MATLAB to implement
the computations. This language has a powerful vocabulary and a convenient
structure that liberate time and energy from programming, and thereby spur
creative application of linear control theory.

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关键词：Recursive Dynamic Linear models model model Linear Recursive Dynamic